Title

Predicting stock-bond correlations

Document Type

Article

Publication Date

1-1-2002

Abstract

Few studies have been conducted to explain the variation in stock-bond correlations. However, to construct efficient portfolios in a mean-variance framework, investors must make accurate projections of future correlations. The past variability in stock-bond correlations notwithstanding, practitioners usually project future correlations by extrapolating past data. The purpose of this paper is to develop a regression model that will generate projections of future correlations that are more accurate than what would be determined from naively extrapolating the co-deviations of the past. © MCB UP Limited 2002.

Publication Name

Managerial Finance

Volume Number

28

First Page

12

Last Page

18

Issue Number

4

DOI

10.1108/03074350210767799

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